The Four Horsemen idea is a popular choice, so it wouldn't be a bad thing to make it a little more your own~ You should think of a theme you'd like for them and create their titles based around that. (Bonus points if what they are directly connects to your game's world or story.)

So for example, say in a world where the people are all obsessed with the idea of eating healthy, the villains could be embodiments of calories, fats, sweets and salt! 

...That is a super lame example, but it illustrates my point, lol. Fear, Pain, Death and Conquest don't fully fit together. Death and Conquest are Horsemen, so the player may get confused if the other two are not.

Best to make them fully original or else fully based on the legend! (You could probably get away with keeping Death, though, since that is a universal inevitability.)

Maybe the four could embody traits that have opposites; Corruption/sanctity, chaos/order, death/life, etc?

As for the two worlds, that entirely depends on the context in which it's placed~ Again, opening the barrier between worlds is a pretty common idea in games so it'll be important to add a flare of your own--and it should definitely include something that's at stake for the main characters. (Which will add tension and suspense to the plot.)

Another important aspect will be to keep the villain's reason for doing such a thing in mind. I'd highly recommend staying away from 'evil for the sake of evil' thing. Giving your bad guys an understandable reason for doing this will enhance the overall story.

So maybe if the villains open the door to the second world, the first one (and thus the one the main characters live in) would vanish forever? But maybe the villains have originated from the second world and wish to go back before they vanish. Maybe there is an evil even greater than them in the first world, and they feel it's best to evacuate to the second but must do this by force because the people will not follow them willingly.

Stuff like that you can toss around and come up with some really dynamic stories! Don't be afraid to play around with what the world or characters think of the situation versus what it actually is. Those are the twists and turns that keep people guessing!

What about gameplay? Sure having a story is fine and all, but I for one am much more interested in what kind of gameplay people want to do.

What about gameplay? Sure having a story is fine and all, but I for one am much more interested in what kind of gameplay people want to do.

It's going to have a class system and free-turn style battle system. There are ten base classes, which can be leveled up to unlock the master version of the class. There are also six hybrid classes, so there's around 16 unique classes. Hope that helps clarify it a bit, and if there were any other questions, let me know